This study examined Internal & external shocks in sovereign bond yields of India & China with the help of GARCH (1 1) model and its different variants over a period of 17 years from January 2006 to December 2022 and the frequency data is monthly. The volatility of sovereign bond yields of India and China was examined by applying different variants of ARCH family, such as ARCH, GARCH (1, 1), E-GARCH and T-GARCH. The results show that sovereign bond yields were volatile and this volatility was due to their internal shocks as well as external shocks. However, the impact of external shocks varies with the maturity of sovereign bond yields in both countries. The monetary variables affect the volatility of short term and medium term, fiscal variables affect the volatility of long term and real variables affect the volatility across all maturities of sovereign bond yields of India and China.